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Heuristic algorithms for the portfolio selection problem with minimum transaction lots

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Cited by:

  1. Adam Bouland & Wim van Dam & Hamed Joorati & Iordanis Kerenidis & Anupam Prakash, 2020. "Prospects and challenges of quantum finance," Papers 2011.06492, arXiv.org.
  2. Carla Oliveira Henriques & Dulce Helena Coelho & Maria Elisabete Duarte Neves, 2022. "Investment planning in energy efficiency programs: a portfolio based approach," Operational Research, Springer, vol. 22(1), pages 615-649, March.
  3. Fang, Yong & Chen, Lihua & Fukushima, Masao, 2008. "A mixed R&D projects and securities portfolio selection model," European Journal of Operational Research, Elsevier, vol. 185(2), pages 700-715, March.
  4. C Papahristodoulou & E Dotzauer, 2004. "Optimal portfolios using linear programming models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 55(11), pages 1169-1177, November.
  5. Barbara Glensk & Reinhard Madlener, 2018. "Fuzzy Portfolio Optimization of Power Generation Assets," Energies, MDPI, vol. 11(11), pages 1-22, November.
  6. Buckley, Winston & Long, Hongwei & Marshall, Mario, 2016. "Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets," European Journal of Operational Research, Elsevier, vol. 252(2), pages 676-686.
  7. Angelelli, Enrico & Mansini, Renata & Speranza, M. Grazia, 2008. "A comparison of MAD and CVaR models with real features," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1188-1197, July.
  8. Giorgio Arici & Marco Dalai & Riccardo Leonardi & Arnaldo Spalvieri, 2018. "A Communication Theoretic Interpretation of Modern Portfolio Theory Including Short Sales, Leverage and Transaction Costs," JRFM, MDPI, vol. 12(1), pages 1-11, December.
  9. Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2015. "Linear vs. quadratic portfolio selection models with hard real-world constraints," Computational Management Science, Springer, vol. 12(3), pages 345-370, July.
  10. Souad Lajili-Jarjir & Yves Rakotondratsimba, 2008. "The number of securities giving the maximum return in the presence of transaction costs," Quality & Quantity: International Journal of Methodology, Springer, vol. 42(5), pages 613-644, October.
  11. Zhou, Zhongbao & Jin, Qianying & Xiao, Helu & Wu, Qian & Liu, Wenbin, 2018. "Estimation of cardinality constrained portfolio efficiency via segmented DEA," Omega, Elsevier, vol. 76(C), pages 28-37.
  12. Renata Mansini & Włodzimierz Ogryczak & M. Speranza, 2007. "Conditional value at risk and related linear programming models for portfolio optimization," Annals of Operations Research, Springer, vol. 152(1), pages 227-256, July.
  13. Cristiano Arbex Valle, 2024. "Portfolio optimisation: bridging the gap between theory and practice," Papers 2407.00887, arXiv.org, revised Sep 2024.
  14. Gabriel, Steven A. & Faria, Jose A. & Moglen, Glenn E., 2006. "A multiobjective optimization approach to smart growth in land development," Socio-Economic Planning Sciences, Elsevier, vol. 40(3), pages 212-248, September.
  15. Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
  16. Ralph Steuer & Markus Hirschberger & Kalyanmoy Deb, 2016. "Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers," Journal of Global Optimization, Springer, vol. 64(1), pages 33-48, January.
  17. Liu, Yong-Jun & Zhang, Wei-Guo, 2015. "A multi-period fuzzy portfolio optimization model with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 242(3), pages 933-941.
  18. Dolores R. Santos-Peñate & Clara M. Campos-Rodríguez & José A. Moreno-Pérez, 2020. "A Kernel Search Matheuristic to Solve The Discrete Leader-Follower Location Problem," Networks and Spatial Economics, Springer, vol. 20(1), pages 73-98, March.
  19. Buckley, Winston S. & Brown, Garfield O. & Marshall, Mario, 2012. "A mispricing model of stocks under asymmetric information," European Journal of Operational Research, Elsevier, vol. 221(3), pages 584-592.
  20. Rosadi, Dedi & Setiawan, Ezra Putranda & Templ, Matthias & Filzmoser, Peter, 2020. "Robust covariance estimators for mean-variance portfolio optimization with transaction lots," Operations Research Perspectives, Elsevier, vol. 7(C).
  21. Ballestero, E. & Gunther, M. & Pla-Santamaria, D. & Stummer, C., 2007. "Portfolio selection under strict uncertainty: A multi-criteria methodology and its application to the Frankfurt and Vienna Stock Exchanges," European Journal of Operational Research, Elsevier, vol. 181(3), pages 1476-1487, September.
  22. Fatemeh Khaleghi Meybodi & Hassan Dehghan Denavi & Abolfazl Sadeghian, 2014. "Portfolio Optimization by Using Birds Flight Algorithm," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(2), pages 334-342, April.
  23. Chun-Hao Chen & Jonathan Coupe & Tzung-Pei Hong, 2023. "An Accelerated Optimization Approach for Finding Diversified Industrial Group Stock Portfolios with Natural Group Detection," Mathematics, MDPI, vol. 11(14), pages 1-25, July.
  24. Zhang, Cheng & Gong, Xiaomin & Zhang, Jingshu & Chen, Zhiwei, 2023. "Dynamic portfolio allocation for financial markets: A perspective of competitive-cum-compensatory strategy," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
  25. Enrico Angelelli & Renata Mansini & M. Speranza, 2012. "Kernel Search: a new heuristic framework for portfolio selection," Computational Optimization and Applications, Springer, vol. 51(1), pages 345-361, January.
  26. Kyle Steinhauer & Takahisa Fukadai & Sho Yoshida, 2020. "Solving the Optimal Trading Trajectory Problem Using Simulated Bifurcation," Papers 2009.08412, arXiv.org.
  27. Fanjul-Peyro, Luis & Ruiz, Rubén, 2010. "Iterated greedy local search methods for unrelated parallel machine scheduling," European Journal of Operational Research, Elsevier, vol. 207(1), pages 55-69, November.
  28. P. Bonami & M. A. Lejeune, 2009. "An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints," Operations Research, INFORMS, vol. 57(3), pages 650-670, June.
  29. Corazza, Marco & Favaretto, Daniela, 2007. "On the existence of solutions to the quadratic mixed-integer mean-variance portfolio selection problem," European Journal of Operational Research, Elsevier, vol. 176(3), pages 1947-1960, February.
  30. Kosuke Tatsumura & Ryo Hidaka & Jun Nakayama & Tomoya Kashimata & Masaya Yamasaki, 2023. "Real-time Trading System based on Selections of Potentially Profitable, Uncorrelated, and Balanced Stocks by NP-hard Combinatorial Optimization," Papers 2307.06339, arXiv.org.
  31. Woodside-Oriakhi, M. & Lucas, C. & Beasley, J.E., 2011. "Heuristic algorithms for the cardinality constrained efficient frontier," European Journal of Operational Research, Elsevier, vol. 213(3), pages 538-550, September.
  32. Jan Jurczyk & Alexander Eckrot & Ingo Morgenstern, 2016. "Quantifying Systemic Risk by Solutions of the Mean-Variance Risk Model," PLOS ONE, Public Library of Science, vol. 11(6), pages 1-12, June.
  33. Gili Rosenberg & Poya Haghnegahdar & Phil Goddard & Peter Carr & Kesheng Wu & Marcos L'opez de Prado, 2015. "Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer," Papers 1508.06182, arXiv.org, revised Aug 2016.
  34. Lin, Chang-Chun & Liu, Yi-Ting, 2008. "Genetic algorithms for portfolio selection problems with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 185(1), pages 393-404, February.
  35. Buckley, Winston S. & Long, Hongwei, 2015. "A discontinuous mispricing model under asymmetric information," European Journal of Operational Research, Elsevier, vol. 243(3), pages 944-955.
  36. Yong-Jun Liu & Wei-Guo Zhang, 2018. "Fuzzy portfolio selection model with real features and different decision behaviors," Fuzzy Optimization and Decision Making, Springer, vol. 17(3), pages 317-336, September.
  37. John Y. Zhu, 2022. "The fractional multidimensional knapsack problem: solution and uniqueness," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 10(1), pages 95-103, May.
  38. Gatzert, Nadine & Martin, Alexander & Schmidt, Martin & Seith, Benjamin & Vogl, Nikolai, 2021. "Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: A mixed-integer multistage stochastic model and a moving-horizon approach," European Journal of Operational Research, Elsevier, vol. 290(2), pages 734-748.
  39. Ehrgott, Matthias & Klamroth, Kathrin & Schwehm, Christian, 2004. "An MCDM approach to portfolio optimization," European Journal of Operational Research, Elsevier, vol. 155(3), pages 752-770, June.
  40. Liu, Wenbin & Zhou, Zhongbao & Liu, Debin & Xiao, Helu, 2015. "Estimation of portfolio efficiency via DEA," Omega, Elsevier, vol. 52(C), pages 107-118.
  41. Jinping Zhang & Keming Zhang, 2022. "Portfolio selection models based on interval-valued conditional value at risk (ICVaR) and empirical analysis," Papers 2201.02987, arXiv.org, revised Jul 2022.
  42. Marisa Cenci & Floriana Filippini, 2005. "Portfolio Selection with minimum transaction lots: an approach with dual expected utility," Departmental Working Papers of Economics - University 'Roma Tre' 0050, Department of Economics - University Roma Tre.
  43. Dimitris Bertsimas & Romy Shioda, 2009. "Algorithm for cardinality-constrained quadratic optimization," Computational Optimization and Applications, Springer, vol. 43(1), pages 1-22, May.
  44. Philipp Baumann & Norbert Trautmann, 2013. "Portfolio-optimization models for small investors," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 77(3), pages 345-356, June.
  45. Amir Hosein Mahmoodi & Seyed Jafar Sadjadi & Soheil Sadi-Nezhad & Roya Soltani & Farzad Movahedi Sobhani, 2020. "Linguistic Z-number weighted averaging operators and their application to portfolio selection problem," PLOS ONE, Public Library of Science, vol. 15(1), pages 1-34, January.
  46. Steuer, Ralph E. & Qi, Yue & Wimmer, Maximilian, 2024. "Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices," European Journal of Operational Research, Elsevier, vol. 313(2), pages 628-636.
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